private void SessionOnDomChanged(OEC.API.Contract contract)
{
var dom = contract.DOM;
var bids = new List<QuoteChange>();
var asks = new List<QuoteChange>();
for (var i = 0; i < dom.BidExchanges.Length; i++)
bids.Add(new QuoteChange(Sides.Buy, contract.Cast(dom.BidLevels[i]) ?? 0, dom.BidSizes[i]) { BoardCode = GetBoardCode(dom.BidExchanges[i], contract, null) });
for (var i = 0; i < dom.AskExchanges.Length; i++)
asks.Add(new QuoteChange(Sides.Sell, contract.Cast(dom.AskLevels[i]) ?? 0, dom.AskSizes[i]) { BoardCode = GetBoardCode(dom.AskExchanges[i], contract, null) });
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = AssociatedBoardCode
},
ServerTime = dom.LastUpdate.ApplyTimeZone(TimeHelper.Est),
Bids = bids,
Asks = asks,
});
}
private void SessionOnDomChanged(OEC.API.Contract contract)
{
ProcessContract(contract, 0);
var dom = contract.DOM;
var bids = new List<QuoteChange>();
var asks = new List<QuoteChange>();
var hasExchange = false;
for (var i = 0; i < dom.BidExchanges.Length; i++)
{
var boardCode = GetBoardCode(dom.BidExchanges[i], contract, null);
if (!hasExchange)
hasExchange = !boardCode.IsEmpty() && boardCode != contract.Exchange.Name;
bids.Add(new QuoteChange(Sides.Buy, contract.Cast(dom.BidLevels[i]) ?? 0, dom.BidSizes[i]) { BoardCode = boardCode });
}
for (var i = 0; i < dom.AskExchanges.Length; i++)
{
var boardCode = GetBoardCode(dom.AskExchanges[i], contract, null);
if (!hasExchange)
hasExchange = !boardCode.IsEmpty() && boardCode != contract.Exchange.Name;
asks.Add(new QuoteChange(Sides.Sell, contract.Cast(dom.AskLevels[i]) ?? 0, dom.AskSizes[i]) { BoardCode = boardCode });
}
SendOutMessage(new QuoteChangeMessage
{
SecurityId = new SecurityId
{
SecurityCode = contract.Symbol,
BoardCode = hasExchange ? AssociatedBoardCode : contract.Exchange.Name ?? AssociatedBoardCode
},
ServerTime = dom.LastUpdate.ApplyTimeZone(TimeHelper.Est),
Bids = bids,
Asks = asks,
});
}
private void ProcessContract(OEC.API.Contract contract, Price currentPrice, long originalTransactionId)
{
var secId = contract.ToSecurityId();
SendOutMessage(new SecurityMessage
{
SecurityId = secId,
Name = contract.Name,
UnderlyingSecurityCode = contract.BaseSymbol,
Currency = contract.Currency.Name.ToCurrency(),
Strike = contract.Strike.ToDecimal(),
ExpiryDate = contract.HasExpiration ? contract.ExpirationDate.ApplyTimeZone(TimeHelper.Est) : (DateTimeOffset?)null,
PriceStep = contract.TickSize.ToDecimal(),
Decimals = contract.PriceFormat > 0 ? contract.PriceFormat : (int?)null,
OptionType = contract.IsOption ? (contract.Put ? OptionTypes.Put : OptionTypes.Call) : (OptionTypes?)null,
SecurityType = contract.GetSecurityType(),
OriginalTransactionId = originalTransactionId,
});
if (currentPrice == null)
return;
SendOutMessage(new Level1ChangeMessage
{
SecurityId = secId,
ServerTime = currentPrice.LastDateTime.ApplyTimeZone(TimeHelper.Est),
}
.TryAdd(Level1Fields.LastTradePrice, contract.Cast(currentPrice.LastPrice))
.TryAdd(Level1Fields.BestAskPrice, contract.Cast(currentPrice.AskPrice))
.TryAdd(Level1Fields.BestAskVolume, (decimal)currentPrice.AskVol)
.TryAdd(Level1Fields.BestBidPrice, contract.Cast(currentPrice.BidPrice))
.TryAdd(Level1Fields.BestBidVolume, (decimal)currentPrice.BidVol)
.TryAdd(Level1Fields.Change, contract.Cast(currentPrice.Change))
.TryAdd(Level1Fields.OpenInterest, (decimal)currentPrice.OpenInterest)
.TryAdd(Level1Fields.OpenPrice, contract.Cast(currentPrice.OpenPrice))
.TryAdd(Level1Fields.HighPrice, contract.Cast(currentPrice.HighPrice))
.TryAdd(Level1Fields.LowPrice, contract.Cast(currentPrice.LowPrice))
.TryAdd(Level1Fields.LastTradeVolume, (decimal)currentPrice.LastVol)
.TryAdd(Level1Fields.SettlementPrice, contract.Cast(currentPrice.Settlement))
.TryAdd(Level1Fields.Volume, (decimal)currentPrice.TotalVol)
.TryAdd(Level1Fields.StepPrice, (decimal)contract.ContractSize)
.Add(Level1Fields.State, contract.GetSecurityState()));
}
private void ProcessContract(OEC.API.Contract contract, Price currentPrice, long originalTransactionId)
{
ProcessContract(contract, originalTransactionId);
if (currentPrice == null)
return;
SendOutMessage(new Level1ChangeMessage
{
SecurityId = contract.ToSecurityId(),
ServerTime = currentPrice.LastDateTime.ApplyTimeZone(TimeHelper.Est),
}
.TryAdd(Level1Fields.LastTradePrice, contract.Cast(currentPrice.LastPrice))
.TryAdd(Level1Fields.BestAskPrice, contract.Cast(currentPrice.AskPrice))
.TryAdd(Level1Fields.BestAskVolume, (decimal)currentPrice.AskVol)
.TryAdd(Level1Fields.BestBidPrice, contract.Cast(currentPrice.BidPrice))
.TryAdd(Level1Fields.BestBidVolume, (decimal)currentPrice.BidVol)
.TryAdd(Level1Fields.Change, contract.Cast(currentPrice.Change))
.TryAdd(Level1Fields.OpenInterest, (decimal)currentPrice.OpenInterest)
.TryAdd(Level1Fields.OpenPrice, contract.Cast(currentPrice.OpenPrice))
.TryAdd(Level1Fields.HighPrice, contract.Cast(currentPrice.HighPrice))
.TryAdd(Level1Fields.LowPrice, contract.Cast(currentPrice.LowPrice))
.TryAdd(Level1Fields.LastTradeVolume, (decimal)currentPrice.LastVol)
.TryAdd(Level1Fields.SettlementPrice, contract.Cast(currentPrice.Settlement))
.TryAdd(Level1Fields.Volume, (decimal)currentPrice.TotalVol)
.TryAdd(Level1Fields.StepPrice, (decimal)contract.ContractSize)
.Add(Level1Fields.State, contract.GetSecurityState()));
}